And they really aren't needed. You can avoid them with a setting of your own creation. Everything you want the setting to be, can be. It will amplify the story you are going to tell. True creative freedom. William Faulker's Jefferson City is a classic example.  You can easily put Stephen King, H. P. Lovecraft, or Gary Braunbeck and their respective settings in if you want.  You believe that place exists because it exists to the character.

What it comes down to is if the setting is a character in the story as well.  I think that if you are basing the events of your story on a real occurrence or history, the story benefits from the atmosphere and flavor of the place it actually occurred.  I mean, a story based on events happening in South Boston or Michigan's Upper Peninsula is going to be looked at through the lens of the people who lived there.  The culture, the story, the people, and the mood of the area are unique that you wouldn't be able to come up with all the research you could do. The setting has a life that affects the outcome of the story.  That is when it is good to stay with that city and make no changes to it.

So let’s take a story set in New York City.  Does it need to be there?  Is there anything directly connected to the plot that can only exist in New York?  If not, why not make a city based on NYC, but with subtle changes.  Like Gotham City, you just need to make some changes to the base template city and you can create a place that everyone believes in and wants to visit time and time again.

What if it does though? You want to use the Empire State Building to be the setting of the climax, what do you do then?  Well, it is the same thing as the city as a whole.  Why does it need to be that exact building?  Is it something about the history? Something that can only exist in the real Empire State Building?  If not, give your mind, give your story the room to grow in a new place.

But possibly more important than anything for you, as a writer to get out of a created setting, is what your readers will get out of it.  Not everyone is going to have traveled to the city you set it in.  Some readers that don't live in the place or have ever been there. They have preconceptions in their mind that will color the way they read the story.  Not necessarily in a bad way, but it will be a different experience.  If you have a created setting, there are no preconceptions, those that live in the city or country can read it and make the connection to the places they see, but those that have never been aren't left out and they are just as fulfilled with the setting. You can tell the story you want to tell, the way you want to tell it. Everyone will have a similar experience when they read.

Remember, good fiction always has to be more real than reality. So don't handcuff yourself to reality if the story doesn't demand it.